Finite dimensional approximations of Hamilton-Jacobi-Bellman equations in spaces of probability measures

Wilfrid Gangbo
University of California, Los Angeles (UCLA)

We prove that viscosity solutions of Hamilton-Jacobi-Bellman (HJB) equations corresponding either to deterministic optimal control problems for systems of n particles or to stochastic optimal control problems for systems of n particles with a common noise converge locally uniformly to the viscosity solution of a limiting HJB equation in the space of probability measures. We prove uniform continuity estimates for viscosity solutions of the approximating problems which may be of independent interest.


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